Data Science in Finance and Economics最新文献_第3页

Asset pricing models in South Africa: A comparative of regression analysis and the Bayesian approach 南非资产定价模型:回归分析与贝叶斯方法之比较

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2023004

Nitesha Dwarika

{"title":"Asset pricing models in South Africa: A comparative of regression analysis and the Bayesian approach","authors":"Nitesha Dwarika","doi":"10.3934/dsfe.2023004","DOIUrl":"https://doi.org/10.3934/dsfe.2023004","url":null,"abstract":"\u0000\u0000This study investigated the risk-return relationship using the Capital Asset Pricing Model (CAPM), Carhart four-factor Model (C4FM) and Fama and French Multifactor Models (FFMMs): F3FM and F5FM. This study analyzed the JSE ALSI returns of the South African market, in relation to the risk factors constructed by the data of twenty-six emerging markets, over the sample period from October 2000 to October 2021. The methodology employed was a comparison of the conventional regression analysis and novel Bayesian approach. Regression analysis estimated by Ordinary Least Squares (OLS) is one of the foremost methods used in South Africa. However, such an approach does not take into account the properties of the price data, namely, the asymmetric, volatile and random nature. While the Newey-West adjustment is one way to assist in capturing autocorrelation and volatility, it fails to consider asymmetry. The Bayesian approach accounts for all the aforementioned properties, overcoming the fundamental flaws of regression analysis. The additional model diagnostics highlighted in this study improved the Bayesian approach' robustness. The risk factors of the FFMMs estimated by regression analysis, with and without the Newey-West adjustment, were insignificant, whereas the Bayesian test results were significant. This finding clearly highlighted that model choice impacts the significance of parameter estimation and the financial decisions of investors, firms and policymakers. Jensen's alpha revealed CAPM to be optimal but none of the asset pricing models fully captured the risk premia. Thus, returns should be investigated with different risk measures for future research purposes.\u0000\u0000","PeriodicalId":290300,"journal":{"name":"Data Science in Finance and Economics","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115900103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Capital market and public health emergencies in Chinese sports industry based on a market model 基于市场模型的中国体育产业资本市场与突发公共卫生事件

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2023007

Xinying Zhang, Chuanjun Zhao, Xianwei Zhou, Xiaojun Wu, Ying Li, Meiling Wu

{"title":"Capital market and public health emergencies in Chinese sports industry based on a market model","authors":"Xinying Zhang, Chuanjun Zhao, Xianwei Zhou, Xiaojun Wu, Ying Li, Meiling Wu","doi":"10.3934/dsfe.2023007","DOIUrl":"https://doi.org/10.3934/dsfe.2023007","url":null,"abstract":"\u0000\u0000The public health emergencies have had a significant impact on the world economy, and the sports industry has been no exception. This study employed StataMP-64 software and event study methodologies to examine the reaction of the Chinese sports industry's capital markets to the outbreak of public health emergencies. The event study method, which is becoming increasingly popular in the field of economics and management, is well-suited for evaluating the impact of specific events on stock returns in the capital market. This method has also garnered significant interest in the sports industry. In this study, the expected return is calculated using the classical market model, and the cumulative abnormal return and average cumulative abnormal return were calculated for each sports company during the period of the Wuhan \"city closure\" event and the inflection point event. The Wilcoxon non-parametric test has been used to examine the significance of the abnormal return. The results indicate that the event study method, applied to a procedural market model, is effective in analyzing the capital market's response to the public health emergencies outbreak in the Chinese sports industry.\u0000\u0000","PeriodicalId":290300,"journal":{"name":"Data Science in Finance and Economics","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133849980","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A portfolio recommendation system based on machine learning and big data analytics 基于机器学习和大数据分析的投资组合推荐系统

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2023009

Man-Fai Leung, Abdullah Jawaid, Sai-Wang Ip, Chun-Hei Kwok, Shing Yan

引用次数: 0

Option pricing using deep learning approach based on LSTM-GRU neural networks: Case of London stock exchange 基于LSTM-GRU神经网络的深度学习期权定价方法:以伦敦证券交易所为例

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2023016

Habib Zouaoui, Meryem-Nadjat Naas

引用次数: 0

Online public opinion and asset prices: a literature review 网络舆论与资产价格:文献综述

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2021004

Yaya Su, Noc Business, Y. Qu, Yuxuan Kang

引用次数: 3

Analysis Factors Affecting Egyptian Inflation Based on Machine Learning Algorithms 基于机器学习算法的埃及通货膨胀影响因素分析

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2023017

Mohamed F. Abd El-Aal

引用次数: 0

Political-obsessed environment and investor sentiments: pricing liquidity through the microblogging behavioral perspective 政治环境与投资者情绪:基于微博行为视角的流动性定价

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2023012

Jawad Saleemi

引用次数: 0

Examining stylized facts and trends of FTSE/JSE TOP40: a parametric and Non-Parametric approach 检验FTSE/JSE TOP40的风格化事实和趋势:参数和非参数方法

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2022015

Katleho Makatjane, Ntebogang D Moroke

{"title":"Examining stylized facts and trends of FTSE/JSE TOP40: a parametric and Non-Parametric approach","authors":"Katleho Makatjane, Ntebogang D Moroke","doi":"10.3934/dsfe.2022015","DOIUrl":"https://doi.org/10.3934/dsfe.2022015","url":null,"abstract":"It is critical in risk and portfolio management to identify groups or classes of financial returns. Portfolio diversification is one of the first decisions made during the portfolio construction phase, and it entails allocating assets among various asset class groups to maximize the risk/reward trade-off. Therefore, this research provides a detailed examination of empirical analysis concerning the characterization of financial markets. In this study, we use parametric and non-parametric approaches to look at stylized facts and patterns of the FTSE/JSE Top40, which comprises the top 40 holdings companies in the South African financial market. To the best of our knowledge, this is the first time a model of this type has been used to create a map that characterizes this index. Our findings indicated that the majority of the properties of the data were valid including among others, clustering volatility, monthly seasonal effects and significant autocorrelation (or serial correlation) on logarithmic returns. Moreover, we found that intra-week trend effects exist, whereas the weekend effect has practically vanished in the FTSE/JSE Top40. With regard to the transition probabilities of the MS(2)-GJR-GARCH (1,1) model, the FTSE/JSE Top40 index had a 98.8% chance of exhibiting long memory, while the volatility had a 99.6% chance of exhibiting long memory.","PeriodicalId":290300,"journal":{"name":"Data Science in Finance and Economics","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128367126","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Multi-indicator comprehensive evaluation: reflection on methodology 多指标综合评价:方法论思考

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2021016

Dong Qiu, Tingyi Liu

{"title":"Multi-indicator comprehensive evaluation: reflection on methodology","authors":"Dong Qiu, Tingyi Liu","doi":"10.3934/dsfe.2021016","DOIUrl":"https://doi.org/10.3934/dsfe.2021016","url":null,"abstract":"\u0000 The number and field of researches on the application of Multi-Indicator Comprehensive Evaluation (MICE) are increasing. It is important to reflect on the understanding of the MICE method systematically and the issues implied behind it. This paper compares the core concepts and methodological elements of the three papers that systematically study the MICE method. It is found that the views of the three papers on the core issue are consistent and mutually supportive, but there are differences in the step division and sequence of the evaluation content. In addition, this paper considers the historical status of the MICE and holds that the key to solving the quality of weight lies in the \"equivalent conversion\" problem in the MICE. Taking the Human Development Index as an example, this paper illustrates the absoluteness of the \"equivalent conversion\" relationship. In addition, there are multiple processing methods for the MICE from the spatial dimension and multiple evaluation results accordingly, therefore, the results of the MICE need to be used carefully. Finally, based on the systematic summary and reflection of the MICE method, three suggestions are given for the application of the MICE method.\u0000","PeriodicalId":290300,"journal":{"name":"Data Science in Finance and Economics","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129078052","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

A new hybrid form of the skew-t distribution: estimation methods comparison via Monte Carlo simulation and GARCH model application 一种新的混合形式的偏t分布:通过蒙特卡罗模拟和GARCH模型应用的估计方法的比较

Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2022003

O. Adubisi, Ahmed Abdulkadir, C. Adubisi

{"title":"A new hybrid form of the skew-t distribution: estimation methods comparison via Monte Carlo simulation and GARCH model application","authors":"O. Adubisi, Ahmed Abdulkadir, C. Adubisi","doi":"10.3934/dsfe.2022003","DOIUrl":"https://doi.org/10.3934/dsfe.2022003","url":null,"abstract":"\u0000 In this work, estimating the exponentiated half logistic skew-t model parameters using some classical estimation procedures is considered. The finite sample performance of the EHLST parameter estimates is examined through extensive Monte Carlo simulations. The ordering performance of the six criterions was based on the partial and overall ranks of the estimation procedures for all parameter combinations. The criterions performance ordering from finest to poorest, using the overall ranks is maximum likelihood, maximum product of spacing, Anderson-Darling, Cramer-von Mises, least squares and weighted least squares estimators for all the parameter combinations. The simulation results confirm the dominance of the maximum likelihood estimation method over other methods with the least overall rank but shows that the maximum product of spacing is most advantageous when the sample size is 200. More so, the EHLST model efficacy is demonstrated through its application on Nigeria inflation rates dataset using the maximum likelihood and maximum product of spacing estimation procedures. Furthermore, the volatility modeling of the Nigeria inflation log-returns using the GARCH-type models with the EHLST innovation density relative to ten commonly used innovation densities validates the superiority of the GARCH (1, 1) and GJRGARCH (1, 1) models with EHLST innovation density in both in-sample and out-samples performance over other models.\u0000","PeriodicalId":290300,"journal":{"name":"Data Science in Finance and Economics","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129330265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1